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Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks
Hassan, M. Kabir; Karels, Gordon B.; Peterson, Manferd O. - 1991
claims valuation techniques to derive implied asset variances from bank equity and deposit insurance, and from risk …-premia for bank subordinated debt. Specifically implied asset variances have been calculated from contingent valuation models and …
Persistent link: https://www.econbiz.de/10009468594
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The market's evaluation of off-balance sheet banking risk: a methodological reexamination
Hassan, M. Kabir; Karels, Gordon V.; Peterson, Manferd O. - 1991
-risk premia borne by bank subordinated debtholders. This paper examines the "market discipline" of OBS activities by employing a … prices of subordinated debt reflect the risk of default is to regress the yield spread against accounting measures of bank … risk. This approach is inadequate because yield spreads are neither linear nor monotonic functions of bank risk. Moreover …
Persistent link: https://www.econbiz.de/10009468597
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Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks
Hassan, M. Kabir; Karels, Gordon V.; Peterson, Manferd O. - 1991
claims valuation techniques to derive implied asset variances from bank equity and deposit insurance, and from risk …-premia for bank subordinated debt. Specifically implied asset variances have been calculated from contingent valuation models and …
Persistent link: https://www.econbiz.de/10009451088
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The market's evaluation of off-balance sheet banking risk: a methodological reexamination
Hassan, M. Kabir; Karels, Gordon V.; Peterson, Manferd O. - 1991
-risk premia borne by bank subordinated debtholders. This paper examines the "market discipline" of OBS activities by employing a … prices of subordinated debt reflect the risk of default is to regress the yield spread against accounting measures of bank … risk. This approach is inadequate because yield spreads are neither linear nor monotonic functions of bank risk. Moreover …
Persistent link: https://www.econbiz.de/10009451091
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Institutional and economic determinants of regional public debt in Spain
Delgado Téllez de Cepeda, Mar; Pérez García, Javier José - 2018
En este documento se hace un análisis empírico de la evolución y de los determinantes de la deuda de las Comunidades Autónomas (CCAA). España constituye un caso interesante de estudio debido a su alto nivel de descentralización fiscal (desarrollado gradualmente durante las últimas cuatro...
Persistent link: https://www.econbiz.de/10012532116
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Beiträge zur Analyse von Finanzmarktmodellen mit Transaktionskosten
Claas Prelle - 2007
Gegenstand dieser Arbeit ist die Untersuchung von Finanzmarktmodellen, die für den An- und Verkauf von Finanzgütern anfallende Kosten berücksichtigen, sogenannte Transaktionskosten. Zentrales Thema ist dabei ein Portfoliooptimierungsproblem in einem Black-Scholes-Modell mit n Aktien bei...
Persistent link: https://www.econbiz.de/10009429000
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Contributions to Intertemporal Models in Financial Economics
Gopalan, Ramu - 2008
portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …
Persistent link: https://www.econbiz.de/10009430929
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Financial Economies With Restricted Participation
Aouani, Zaier - 2009
with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …
Persistent link: https://www.econbiz.de/10009430939
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Die Ermittlung des Conversion Factors im Futures-Handel
Wöster, Christoph - 2005
Börsengehandelte Termingeschäfte sind durch eine starke Standardisierung der Verträge geprägt, die sich auch auf das zu liefernde Basisinstrument erstreckt. Mit Auflegung eines Terminkontrakts werden die Wertpapiere benannt, die der Erfüllung des Geschäfts dienen können. Weicht deren...
Persistent link: https://www.econbiz.de/10009452486
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Risk factors in the UK stock market
Sufar, Saiful Bahri - 2000
This thesis examines risk factors in the UK Stock Market. This objective is achievedby testing the validity of the Capital Asset Pricing Model (CAPM) and the ArbitragePricing Theory (APT). The models were tested using data for the period between 1972to 1993.Test of the CAPM was conducted by...
Persistent link: https://www.econbiz.de/10009461178